QRPNX vs. QMHNX

Last updated Jun 5, 2026

QRPNX (AQR Alternative Risk Premia Fund Class N) and QMHNX (AQR Managed Futures Strategy HV Fund Class N) are both mutual funds - QRPNX is a Multistrategy fund actively managed by AQR, while QMHNX is a Systematic Trend fund actively managed by AQR. Both are actively managed. Over the past 5 years, QRPNX returned 19.43%/yr vs 16.21%/yr for QMHNX. At a 0.45 correlation, their price movements are largely independent. QRPNX charges 5.29%/yr vs 4.12%/yr for QMHNX.

Performance

QRPNX vs. QMHNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Alternative Risk Premia Fund Class N (QRPNX) and AQR Managed Futures Strategy HV Fund Class N (QMHNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with QRPNX having a 19.65% return and QMHNX slightly lower at 18.97%.

QRPNX

• 1D: 0.68%
• 1M: 3.75%
• YTD: 19.65%
• 6M: 21.40%
• 1Y: 36.33%
• 3Y*: 23.70%
• 5Y*: 19.43%
• 10Y*: —

QMHNX

• 1D: 1.11%
• 1M: 2.34%
• YTD: 18.97%
• 6M: 22.10%
• 1Y: 34.84%
• 3Y*: 16.46%
• 5Y*: 16.21%
• 10Y*: 5.60%

*Multi-year figures are annualized to reflect compound growth (CAGR)

QRPNX vs. QMHNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
QRPNX AQR Alternative Risk Premia Fund Class N	19.65%	23.09%	18.64%	6.94%	24.83%	14.04%	-21.20%	-3.25%	-4.58%
QMHNX AQR Managed Futures Strategy HV Fund Class N	18.97%	19.65%	10.48%	-0.40%	49.64%	-2.30%	-0.85%	1.55%	-10.64%

Correlation

The correlation between QRPNX and QMHNX is 0.59, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.59
Correlation (3Y) Calculated over the trailing 3-year period	0.52
Correlation (5Y) Calculated over the trailing 5-year period	0.52
Correlation (All Time) Calculated using the full available price history since May 22, 2018	0.45

The correlation between QRPNX and QMHNX shifts across timeframes, from 0.45 (all time) to 0.59 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

QRPNX vs. QMHNX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QRPNX

QRPNX Risk / Return Rank: 97
QRPNX Sharpe Ratio Rank: 98
QRPNX Sortino Ratio Rank: 97
QRPNX Omega Ratio Rank: 93
QRPNX Calmar Ratio Rank: 99
QRPNX Martin Ratio Rank: 98

QMHNX

QMHNX Risk / Return Rank: 85
QMHNX Sharpe Ratio Rank: 85
QMHNX Sortino Ratio Rank: 74
QMHNX Omega Ratio Rank: 72
QMHNX Calmar Ratio Rank: 97
QMHNX Martin Ratio Rank: 94

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QRPNX vs. QMHNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Alternative Risk Premia Fund Class N (QRPNX) and AQR Managed Futures Strategy HV Fund Class N (QMHNX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	QRPNX	QMHNX	Difference
Sharpe ratio: Return per unit of total volatility	3.92	2.77	+1.15
Sortino ratio: Return per unit of downside risk	5.72	3.57	+2.15
Omega ratio: Gain probability vs. loss probability	1.72	1.47	+0.25
Calmar ratio: Return relative to maximum drawdown	10.26	7.34	+2.92
Martin ratio: Return relative to average drawdown	29.62	21.53	+8.09
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QRPNX vs. QMHNX - Sharpe Ratio Comparison

The current QRPNX Sharpe Ratio is 3.92, which is higher than the QMHNX Sharpe Ratio of 2.77. The chart below compares the historical Sharpe Ratios of QRPNX and QMHNX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	QRPNX	QMHNX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.92	2.77	+1.15
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.66	0.94	+0.72
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.36	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.83	0.37	+0.46

Drawdowns

QRPNX vs. QMHNX - Drawdown Comparison

The maximum QRPNX drawdown since its inception was -28.78%, smaller than the maximum QMHNX drawdown of -40.29%. Use the drawdown chart below to compare losses from any high point for QRPNX and QMHNX.

Drawdown Indicators

	QRPNX	QMHNX	Difference
Max Drawdown Largest peak-to-trough decline	-28.78%	-40.29%	+11.51%
Max Drawdown (1Y) Largest decline over 1 year	-3.51%	-4.81%	+1.30%
Max Drawdown (3Y) Largest decline over 3 years	-11.22%	-19.23%	+8.01%
Max Drawdown (5Y) Largest decline over 5 years	-11.22%	-19.23%	+8.01%
Max Drawdown (10Y) Largest decline over 10 years	—	-35.34%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-7.84%	-18.28%	+10.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.22%	1.63%	-0.41%

Volatility

QRPNX vs. QMHNX - Volatility Comparison

The current volatility for AQR Alternative Risk Premia Fund Class N (QRPNX) is 2.74%, while AQR Managed Futures Strategy HV Fund Class N (QMHNX) has a volatility of 3.78%. This indicates that QRPNX experiences smaller price fluctuations and is considered to be less risky than QMHNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QRPNX	QMHNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.74%	3.78%	-1.04%
Volatility (6M) Calculated over the trailing 6-month period	6.72%	9.63%	-2.91%
Volatility (1Y) Calculated over the trailing 1-year period	9.20%	12.74%	-3.54%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.76%	17.31%	-5.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.32%	15.47%	-5.15%

QRPNX vs. QMHNX - Expense Ratio Comparison

QRPNX has a 5.29% expense ratio, which is higher than QMHNX's 4.12% expense ratio.

Dividends

QRPNX vs. QMHNX - Dividend Comparison

QRPNX's dividend yield for the trailing twelve months is around 0.95%, less than QMHNX's 1.59% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QMHNX AQR Managed Futures Strategy HV Fund Class N	1.59%	1.89%	2.09%	7.36%	8.75%	10.64%	7.79%	3.80%	0.00%	0.00%	0.01%	7.47%
QRPNX AQR Alternative Risk Premia Fund Class N	0.95%	1.14%	2.04%	4.33%	0.00%	3.84%	1.98%	0.57%	0.07%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both QRPNX and QMHNX in my portfolio?

QRPNX and QMHNX have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QRPNX or QMHNX?

QMHNX has higher volatility (3.78%) compared to QRPNX (2.74%). In terms of maximum drawdown, QRPNX dropped -28.78% vs QMHNX's -40.29%.

Which has better risk-adjusted returns?

QRPNX currently has the higher Sharpe Ratio (3.92 vs 2.77), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.